In closing, the best piece of advice I can give is to be as informed as possible. This guide should be your starting point. Hopefully after reading this you can start to make intelligent decisions about what you want to look for and how you want to find it. Never be afraid of asking "dumb" questions. The only dumb question is the one you don't ask.
One other point of importance is that every one's choices are different. Just because David Sanborn plays a 144,000 series Mark VI alto and a Dukoff mouthpiece doesn't mean that you have to. You may like something completely different and unique. Your tastes will even change as you evolve as a player. When it gets down to it, it is not the saxophone making the music, it is you! Your attitude will improve your playing more than any horn ever can. So if you can't afford the best and most expensive horn on the planet, try and make the best decision you can with what you have, and remember that the music is what it's all about. You will grow with whatever instrument you have, as long as you love it and cherish it. After all, it's now yours!